Just had this same problem, but had no option to work on COM port less than 10 on Windows.. And it seems that is the problem:
The designers of Microsoft Windows could not conceive of machines with more than 9 serial ports. As a consequence, you cannot use conventional port names beyond COM9:
To deal with this oversight, newer versions of windows require the following notation for port numbers beyond 9:
\.\COM10
\.\COM11
\.\COM12
http://www.csparks.com/MotoBackup/index.xhtml
I managed to find the sources of serproxy-0.1.3 here:
https://developer.berlios.de/project/showfiles.php?group_id=3590
and if line 211 in sio.c is changed from
sprintf(filename, "COM%hd", sio->info.port);
to
sprintf(filename, "\\\\.\\COM%hd", sio->info.port);
then COM10 works too...
Same thing is done on this forum (in a Spanish language post):
http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1159788663/7#7 
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